The Chilean took over from Roberto Mancini after City's disappointing campaign last time out and is slowly trying to bring the squad round to a new way of playing.
Rodwell told the Sun: "Pellegrini likes us to press high up and press in numbers, to get the ball back as soon as possible and then play simple football.
"He wants us to keep the ball until we're in the final third and then see.
"It's early and he hasn't gone into too much detail - he's gradually drip-feeding us.
"You look at Barcelona and what they do and it works for them so hopefully we'll adapt."